I just found this 594 page paper from 2008 by Demetrios Christodoulou, a Greek Mathematician and Physicist, in which he gives a very long proof that you can form a black hole solely out of gravitational waves! One usually thinks of a black hole as the result of the death of a sufficiently massive star, but this theoretical result shows that you can get these curious creatures merely from certain configurations of space-time ripples, which is surprising (at least to me). Although I would guess that there's little chance such objects actually exist physically, this is a neat mathematical result. If you happen to have a spare year, you might want to work through the proof...

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The subject of this work is the formation of black holes in pure general relativity, by the focusing of incoming gravitational waves.